La théorie des anticipations de la structure par terme : test à partir des titres publics français
AbstractThis paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Standard tests (based on the relationships between the change in the long-term rate and the spread and between the change in the short-term rate and the spread) lead to a puzzle close to the one obtained by Campbell and Shiller (1991) using US data. An approach based on stationarity of excess returns and error-correction models gives more details on these results: the expectations hypothesis is widely accepted when holding return is considered whereas it is systematically rejected when rollover return is considered.
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Bibliographic InfoPaper provided by Banque de France in its series Working papers with number 45.
Length: 20 pages
Date of creation: 1997
Date of revision:
Term structure of interest rates ; Expectations hypothesis ; Cointegration ; Error-correction model.;
Other versions of this item:
- Eric JONDEAU & Roland RICART, 1998. "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annales d'Economie et de Statistique, ENSAE, issue 52, pages 1-22.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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